A pivotal figure in toppling former dictator Slobodan Milosevic, Djindjic was gunned down as he entered a government building in Belgrade around 1pm. It was the first assassination of a prime minister in Europe since that of Sweden’s Olof Palme in 1986.

Senior EU figures vowed the killing would not undermine the Union’s commitment to the region. Javier Solana, the high representative for foreign policy, declared: “This is a moment to think, to look ahead and to make reality the many dreams Zoran Djindjic had for his people and his country.”

But Carl Bildt, the former UN envoy to the Balkans, questioned the international community’s strategy. Speaking to European Voice, he suggested that the EU might be concentrating too hard on ensuring leaders such as Djindjic hand over indictees to The Hague-based war crimes tribunal and not enough on the failure of NATO-led troops to arrest ringleaders of the ethnic cleansing witnessed during the 1990s.

“We have put extremely heavy pressure on Djindjic to go perhaps beyond what he can deliver, while NATO has thousands of people in Bosnia, not doing what they should be,” said Bildt. “We have put the burden on him to do what we were not able to do.”

German-educated Djindjic, 50, was instrumental in transferring Milosevic to the Hague in 2001, despite strong opposition from then President Vojislav Kostunica and other Serb politicians. Political analysts believe his murder was almost certainly linked to his stance on war crimes or efforts to stamp out organised crime.

“It’s not difficult to see why this happened,” said Nicholas Whyte, a Balkans specialist with the International Crisis Group. “Djindjic had been moving against organised crime and it was widely rumoured he was preparing to hand over more war crime indictees.”

Whyte said the EU should accelerate the integration of the western Balkans into the Union. One measure he suggested would be a more generous visa regime to make it easier for people in the region to work or study in the EU.

Chris Patten, the external relations commissioner, had been due to meet Djindjic during a visit to Serbia and Montenegro starting today. Patten left for Croatia last night but it was not clear if he would travel on to Belgrade, now in a state of emergency.

Describing Djindjic as “a man of great courage”, Patten said: “We must not allow this terrible crime to set back the progress being made by his country towards joining the rest of the European family.”

The Union is the world’s largest donor to the western Balkans, providing more than €6 billion of aid in 1991-2002. Erhard Busek, coordinator of the EU-led Stability Pact for South-Eastern Europe, was among those paying tribute to Djindjic last night, hailing his courage in seeking to break with Serbia’s past.

MEPs joined a chorus of condemnation of the shooting. “It is particularly shocking that he has apparently been killed for seeking to take the country on a path to democracy,” said Liberal leader Graham Watson.

Two people were reportedly arrested at the scene of Djindjic’s shooting.

The Balkans have been Europe’s powder keg since the 1914 assassination of Archduke Franz Ferdinand by Bosnian Serb Gavrilo Princip, the trigger for the First World War.